Open Access
VOL. 8 | 2012 CD posterior – combining prior and data through confidence distributions
Kesar Singh, Minge Xie

Editor(s) Dominique Fourdrinier, Éric Marchand, Andrew L. Rukhin

Inst. Math. Stat. (IMS) Collect., 2012: 200-214 (2012) DOI: 10.1214/11-IMSCOLL814


This article proposes an alternative approach to incorporate information from observed data with its corresponding prior information using a recipe developed for combining confidence distributions. The outcome function is called a CD posterior, an alternative to Bayes posterior, which is shown here to have the same coverage property as the Bayes posterior. This approach to incorporating a prior distribution has a great advantage that it does not require any prior on nuisance parameters. It also can ease the computational burden which a typical Bayesian analysis endures. An error bound is established on the CD-posterior when there is an error in prior specification.


Published: 1 January 2012
First available in Project Euclid: 14 March 2012

zbMATH: 1328.62042
MathSciNet: MR3202512

Digital Object Identifier: 10.1214/11-IMSCOLL814

Primary: 62A01 , 62F03 , 62F12 , 62F15 , 62F40 , 62G05 , 62G10 , 62G20

Keywords: confidence distribution , frequentist coverage , posterior distribution

Rights: Copyright © 2012, Institute of Mathematical Statistics

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